Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0033 |
| Annualized Std Dev | 0.1548 |
| Annualized Sharpe (Rf=0%) | -0.0214 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4940.0000 |
| NAs | 1.0000 |
| Minimum | -0.1301 |
| Quartile 1 | -0.0032 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0038 |
| Maximum | 0.2028 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0098 |
| Skewness | 0.2174 |
| Kurtosis | 67.9333 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0072 |
| Gain Deviation | 0.0076 |
| Loss Deviation | 0.0088 |
| Downside Deviation (MAR=210%) | 0.0119 |
| Downside Deviation (Rf=0%) | 0.0072 |
| Downside Deviation (0%) | 0.0072 |
| Maximum Drawdown | 0.5865 |
| Historical VaR (95%) | -0.0114 |
| Historical ES (95%) | -0.0227 |
| Modified VaR (95%) | -0.0020 |
| Modified ES (95%) | -0.0020 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-03 | 2008-12-15 | NA | -0.5865 | 3496 | 410 | NA |
| 2001-08-24 | 2004-05-13 | 2005-09-06 | -0.2166 | 1011 | 680 | 331 |
| 2005-09-07 | 2005-10-18 | 2006-01-09 | -0.0687 | 86 | 30 | 56 |
| 2007-01-03 | 2007-01-10 | 2007-04-05 | -0.0447 | 65 | 6 | 59 |
| 2006-09-28 | 2006-10-17 | 2006-12-26 | -0.0394 | 62 | 14 | 48 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2001 | NA | NA | NA | NA | NA | NA | 0.1 | -0.5 | -0.3 | 0.4 | 0.5 | 0.2 | 0.5 |
| 2002 | -0.4 | -0.6 | -1.1 | 1.1 | 0.4 | 0.1 | 0.6 | -0.5 | 0.4 | 0.7 | 1.5 | 0.4 | 2.4 |
| 2003 | 0.5 | 0.9 | 0.1 | 0.9 | 0.3 | -0.2 | -0.7 | 0.8 | 0.7 | 0.5 | 0.2 | 0.5 | 4.4 |
| 2004 | -0.1 | -0.6 | 0.5 | -0.1 | 0.2 | 0.4 | 0.4 | 0.2 | -0.2 | 0.1 | 0.1 | 0.2 | 1.2 |
| 2005 | 0.2 | 0.4 | 0.6 | 0.5 | 0.3 | -0.1 | 0 | 0.5 | 1.3 | 0.5 | 0.2 | -0.4 | 3.9 |
| 2006 | 0.2 | -1 | 0 | -0.3 | 0.9 | -0.3 | 0.1 | 0 | -0.5 | -0.3 | -0.3 | 1.8 | 0.4 |
| 2007 | 0.1 | 0.1 | 0.5 | -0.2 | 0.2 | 0.2 | -0.1 | -0.1 | -0.4 | -0.6 | 0 | 0.9 | 0.4 |
| 2008 | 1.2 | -1.7 | 1.1 | -1.1 | -0.8 | -0.1 | -0.3 | 0.5 | -0.2 | -0.5 | -5.1 | 2 | -5.1 |
| 2009 | 0.6 | 1.1 | 1.5 | 2.1 | 0.3 | 0.8 | 0.8 | 1.1 | 0.4 | -1.2 | 0.9 | -0.5 | 8.1 |
| 2010 | -0.4 | 0.5 | -0.1 | -0.9 | 0.2 | 0.4 | 1 | 0 | 0 | 0.4 | -0.1 | 1.2 | 2.2 |
| 2011 | 1 | 1 | 0.2 | 0.1 | -1.3 | 0.3 | 1.1 | 1.4 | 0 | 0.3 | 0.9 | 0.2 | 5.2 |
| 2012 | 0.1 | 0.2 | 0.4 | 0.2 | 0.3 | 0.1 | -1.8 | -0.7 | 1.5 | 0.7 | 0.5 | 0.6 | 2 |
| 2013 | -0.3 | -0.4 | -0.6 | 0.6 | -3 | -0.1 | -0.4 | -0.4 | 0.1 | -0.3 | -0.7 | -0.5 | -5.8 |
| 2014 | 0.6 | -0.7 | -0.3 | 0.3 | 0.1 | 0.1 | 0.6 | 0 | 0.7 | -0.1 | 0.5 | -0.1 | 1.5 |
| 2015 | 0.5 | 1.3 | 0 | -0.8 | 0.5 | 0.8 | 0.9 | 0.9 | 0.4 | 0.6 | 1.2 | 0.3 | 6.9 |
| 2016 | 0.8 | 0.5 | -0.1 | 0.9 | 1.5 | 0 | 0.4 | 0.6 | 0.2 | -0.4 | -0.6 | -0.2 | 3.5 |
| 2017 | -0.2 | -0.6 | 0.2 | 0.3 | 0.4 | 0 | -0.4 | 0.1 | 0.3 | -0.6 | 0.3 | -0.1 | -0.4 |
| 2018 | -0.4 | -0.2 | -0.5 | 0 | -0.3 | 0.2 | -0.1 | 0.8 | -0.4 | 0.4 | 0 | 0.4 | 0 |
| 2019 | 0.1 | 0.2 | 0.2 | 0.2 | 0.7 | -0.2 | 0.5 | -0.3 | 0.1 | 0.1 | 0.1 | 0.3 | 1.9 |
| 2020 | 0.1 | -0.4 | -3.5 | 0.6 | 0.9 | 0.2 | 0.4 | 0.3 | 0.4 | -0.5 | 0.7 | 0.1 | -0.8 |
| 2021 | 0.1 | 0.4 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.6 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
